This is the best style I have found. The ones made of glass are too easy to break and I have never had luck with the electric ones. They succeed in splattering the kitchen, but not in frothing the milk.

I heat the milk in the microwave or on the stovetop in a small pan. Then I froth with a $2 battery-operated frother that I got at IKEA. A hand blender will work also. In a pinch, a whisk will also froth hot milk too. I use to have a cappucino machine that had a steam nozzle and it was the biggest PITA to use and clean, especially the cleaning part.